HOUSING FINANCE POLICY CENTER

HOUSING FINANCE AT A GLANCE A MONTHLY CHARTBOOK

April 2020

1 ABOUT THE CHARTBOOK HOUSING FINANCE POLICY CENTER STAFF

The Housing Finance Policy Center’s (HFPC) mission is to Laurie Goodman produce analyses and ideas that promote sound public Center Vice President policy, efficient markets, and access to economic Alanna McCargo opportunity in the area of housing finance. At A Glance, a Center Vice President monthly chartbook and data source for policymakers, academics, journalists, and others interested in the Jim Parrott government’s role in mortgage markets, is at the heart of Nonresident Fellow this mission. Jun Zhu Nonresident Fellow We welcome feedback from our readers on how we can make At A Glance a more useful publication. Please email Sheryl Pardo any comments or questions to [email protected]. Associate Director of Communications

Karan Kaul To receive regular updates from the Housing Finance Senior Research Associate Policy Center, please visit here to sign up for our bi-weekly newsletter. Michael Neal Senior Research Associate

Jung Choi Research Associate

Sarah Strochak Research Analyst

John Walsh Research Assistant

Caitlin Young Research Assistant

Alison Rincon Director, Center Operations CONTENTS

Overview

Market Size Overview Value of the US Residential Housing Market 6 Size of the US Residential Mortgage Market 6 Private Label Securities 7 Agency Mortgage-Backed Securities 7

Origination Volume and Composition First Lien Origination Volume & Share 8

Mortgage Origination Product Type Composition (All Originations) 9 Percent Refi at Issuance 9 Cash-Out Refinances Loan Amount After Refinancing 10 Cash-out Refinance Share of All Originations 10 Total Home Equity Cashed Out 10

Nonbank Origination Share Nonbank Origination Share: All Loans 11 Nonbank Origination Share: Purchase Loans 11 Nonbank Origination Share: Refi Loans 11

Securitization Volume and Composition Agency/Non-Agency Share of Residential MBS Issuance 12 Non-Agency MBS Issuance 12 Non-Agency Securitization 12

Credit Box

Housing Credit Availability Index (HCAI) Housing Credit Availability Index 13 Housing Credit Availability Index by Channel 13-14

Credit Availability for Purchase Loans Borrower FICO Score at Origination Month 15 Combined LTV at Origination Month 15 DTI at Origination Month 15 Origination FICO and LTV by MSA 16

Nonbank Credit Box Agency FICO: Bank vs. Nonbank 17 GSE FICO: Bank vs. Nonbank 17 Ginnie Mae FICO: Bank vs. Nonbank 17 GSE LTV: Bank vs. Nonbank 18 Ginnie Mae LTV: Bank vs. Nonbank 18 GSE DTI: Bank vs. Nonbank 18 Ginnie Mae DTI: Bank vs. Nonbank 18

State of the Market

Mortgage Origination Projections & Originator Profitability Total Originations and Refinance Shares 19 Originator Profitability and Unmeasured Costs 19 Housing Supply Months of Supply 20 Housing Starts and Home Sales 20

Housing Affordability National Housing Affordability Over Time 21 Affordability Adjusted for MSA-Level DTI 21

Home Price Indices National Year-Over-Year HPI Growth 22 Changes in CoreLogic HPI for Top MSAs 22

First-Time Homebuyers First-Time Homebuyer Share 23 Comparison of First-time and Repeat Homebuyers, GSE and FHA Originations 23

Delinquencies and Loss Mitigation Activity Negative Equity Share 24 Loans in Serious Delinquency/Foreclosure 24 Loan Modifications and Liquidations 24

GSEs under Conservatorship

GSE Portfolio Wind-Down Fannie Mae Mortgage-Related Investment Portfolio 25 Freddie Mac Mortgage-Related Investment Portfolio 25

Effective Guarantee Fees & GSE Risk-Sharing Transactions Effective Guarantee Fees 26 Fannie Mae Upfront Loan-Level Price Adjustment 26 GSE Risk-Sharing Transactions and Spreads 27-28

Serious Delinquency Rates Serious Delinquency Rates – Fannie Mae, Freddie Mac, FHA & VA 29 Serious Delinquency Rates – Single-Family Loans & Multifamily GSE Loans 29

Agency Issuance

Agency Gross and Net Issuance Agency Gross Issuance 30 Agency Net Issuance 30

Agency Gross Issuance & Fed Purchases Monthly Gross Issuance 31 Fed Absorption of Agency Gross Issuance 31

Mortgage Insurance Activity MI Activity & Market Share 32 FHA MI Premiums for Typical Purchase Loan 33 Initial Monthly Payment Comparison: FHA vs. PMI 33

Related HFPC Work

Publications and Events 34 INTRODUCTION COVID-19 Flips 2020 Mortgage Market The impact of COVID-19 was first manifested by the drop in Expectations Treasury and mortgage rates in January, with primary mortgage rates falling. Lower rates along with still strong labor market conditions and housing equity growth boosted In a remarkably short time period, COVID-19 has applications for both purchase and refinance mortgages by dramatically altered the course of broad mortgage market 11 and 88 percent respectively over the first month of this metrics. At the end of 2019, trends in mortgage applications year. suggested that, over the course of 2020, purchase mortgage originations would rise and refinance originations would As COVID-19’s impact became clearer, purchase mortgage decrease. As the full effect of COVID-19 became more applications plunged, falling 36 percent since February to a apparent, refinancing applications leaped, purchase level last seen in 2015 (figure above). Refinance applications applications plummeted, and the mortgage market rose 116 percent to the highest level since at least 2011. expectations established at the beginning of this year were Although refinance applications have receded in recent reversed. weeks, they remain elevated. Amidst these developments, mortgage market expectations have reversed, purchase Historical and forecasted originations by Fannie Mae, origination volume is now expected to fall in 2020 while Freddie Mac and the Mortgage Bankers Association (MBA) refinance volume is expected to be higher (table above). are shown on page 19 of this Chartbook. To measure changes in mortgage market expectations, we average Fannie Mae’s COVID-19’s impact goes well beyond simply reversing and the MBA’s January estimates, along with Freddie Mac’s expectations for the mortgage market. COVID-19 has December estimate, of 2019 mortgage originations as well as infected nearly every part of the mortgage market’s their forecast of originations in 2020. We then compare what structure, from lending standards in the primary market to they thought would happen in 2020 with the projections in investor liquidity in the secondary market, particularly in the their most recent April forecasts. non-agency sector, and the health of independent mortgage banks which account for about two-thirds of new agency Mortgage Applications Index Refinance Applications Index, March 16 1990=100 origination. 7000 Purchase Applications Index, March 16 1990=100 350 The federal policy response has been swift, with 6000 300 Congressional action through the CARES Act providing borrower forbearance and the Federal Reserve purchasing 5000 250 large amounts of agency mortgage-backed securities. However, further actions are needed, including a servicing 4000 200 advance facility to aid the independent mortgage bankers as they struggle to access the funding that is needed to continue 3000 150 to make payments to investors in the wake of widespread forbearance, as well as a financing facility for non-agency 2000 100 securities.

1000 50 INSIDE THIS ISSUE

0 0 • The Urban Institute’s Housing Credit Availability Index 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 stood at 5.3 percent in Q4 2019, unchanged from Q3 Refinance Mortgage Applications (2020) Refinance Mortgage Applications (Up to 2019) Purchase Mortgage Applications (2020) Purchase Mortgage Applications (Up to 2019) 2014 (Page 13). Source: Mortgage Bankers Association. • CAS and STACR spreads widened significantly in March 2020, reflecting investor expectations of higher defaults Over 2019, purchase mortgage applications held largely and credit losses owing to COVID-19 (Page 28). steady, supported by lower mortgage rates and strong labor • The Federal Reserve, as part of its efforts to stabilize the market conditions (figure above). It was expected that rates financial markets, purchased $292.2 billion in Agency would stay low and the economy would remain strong, raising MBS in March 2020, 178.2% of gross issuance and the purchase mortgage originations in 2020 (table below). By largest volume of purchases in a single month (Page 31). contrast, refinancing originations were expected to be lower in 2020, since refinance applications had begun to decline in the latter half of 2019 (figure above). Forecast of Mortgage Originations, Billions of Dollars Forecast Month 2019 2020 Total Purchase Refinance Total Purchase Refinance Dec. 2019/Jan. 2020 $2,120 $1,266 $853 $1,986 $1,336 $650 April 2020 $2,282 $1,279 $1,003 $2,432 $1,148 $1,311 Year-over-Year Change Forecast Month 2019 2020 Total Purchase Refinance Dec. 2019/Jan. 2020 -6% 6% -24% April 2020 7% -10% 31% Source: Author’s calculations from Fannie Mae, Freddie Mac, and MBA. OVERVIEW MARKET SIZE OVERVIEW The Federal Reserve’s Flow of Fund Report has indicated a gradually increasing total value of the housing market, driven primarily by growing home equity since 2012. The Q4 2019 numbers show that while total home equity was steady this quarter at $19.7 trillion, mortgage debt outstanding grew slightly from $11.1 trillion in Q3 to $11.2 trillion in Q4 2019, bringing the total value of the housing market to $30.9 trillion, 20.7 percent higher than the pre- crisis peak in 2006. Agency MBS account for 61.6 percent of the total mortgage debt outstanding, private-label securities make up 3.9 percent, and unsecuritized first liens make up 30.0 percent. Home equity loans comprise the remaining 4.5 percent of the total. Value of the US Single Family Housing Market Debt Equity Total value ($ trillions) 35.0 30.0 $30.9 25.0 20.0 $19.7 15.0 10.0 $11.2 5.0 0.0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Sources: Federal Reserve Flow of Funds and Urban Institute. Last updated April 2020. Note: Single family includes 1-4 family mortgages. The home equity number is grossed up from Fed totals to include the value of households and the non-financial business sector. Composition of the US Single Family Mortgage Market

($ trillions) Agency MBS Unsecuritized first liens Private Label Securities Home Equity loans 8

7 $6.88

6 Debt, household 5 mortgages, $9,833 4 $3.35 3

2

1 $0.50 $0.44 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Sources: Federal Reserve Flow of Funds, eMBS and Urban Institute. Last updated April 2020. Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, credit unions and other financial companies 6 OVERVIEW MARKET SIZE OVERVIEW

As of February 2020, our sample of first lien mortgage debt in the private-label securitization market totaled $325 billion and was split among prime (13.7 percent), Alt-A (33.1 percent), and subprime (53.3 percent) loans. In March 2020, outstanding securities in the agency market totaled $7.0 trillion, 42.3 percent of which was Fannie Mae, 28.1 percent Freddie Mac, and 29.6 percent Ginnie Mae. Ginnie Mae has had more outstanding securities than Freddie Mac since June 2016.

Private-Label Securities by Product Type

Prime Alt-A Subprime ($ trillions) 1

0.8

0.6

0.4

0.2 0.17 0.11 0.04 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 February 2020 Sources: CoreLogic, Black Knight and Urban Institute.

Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae Total ($ trillions)

8

7 7.0

6

5

4

3 2.9 2.1 2 2.0 1

0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 March 2020 Sources: eMBS and Urban Institute. 7 OVERVIEW ORIGINATION VOLUME AND COMPOSITION First Lien Origination Volume For full-year 2019, first lien originations totaled $2.38 trillion, up from the full year 2018 volume of $1.63 trillion. The share of portfolio originations was 35.9 percent in 2019, a significant jump from the 30.0 percent share in 2018. The 2019 GSE share was down at 42.9 percent, compared to 45.7 percent for the full year 2018. The FHA/VA share fell to 19.3 percent in 2019, as compared to 22.6 percent in 2018. Private label securitization comprised 1.9 percent of origination volume in both 2019 and 2018, it remains a fraction of its share in the pre-bubble years.

($ trillions) GSE securitization FHA/VA securitization PLS securitization Portfolio $4.0 $3.5 $3.0 $2.5 $2.0 $0.853 $1.5 $0.046 $1.0 $0.458 $1.018 $0.5 $0.0 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Sources: Inside Mortgage Finance and Urban Institute. Last updated February 2020.

(Share, percent)

100%

90%

80% 35.9% 70%

60% 1.94% 50% 19.3% 40%

30%

20% 42.9% 10%

0% 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Sources: Inside Mortgage Finance and Urban Institute. Last updated February 2020. 8 OVERVIEW PRODUCT COMPOSITION AND REFINANCEMORTGAGE ORIGINATION SHARE PRODUCT TheTYPE 30-year fixed-rate mortgage continues to remain the bedrock of the US housing finance system, accounting for 81 percent of new originations in February 2020. This share has increased over the last decade as the share of other products has shrunk. The 15-year fixed-rate mortgage, predominantly a refinance product, accounted for 10.8 percent of new originations in February 2020, while the ARM share accounted for 3.4 percent. Since late 2018, while there has been some month-to-month variation, the refinance share (bottom chart) has generally grown for both the GSEs and Ginnie Mae as interest rates have dropped. As rates have continued to drop in the wake of COVID-19, we expect the refinance share to continue to climb. Product Composition Fixed-rate 30-year mortgage Fixed-rate 15-year mortgage Adjustable-rate mortgage Other

100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Sources: Black Knight, eMBS, HMDA, SIFMA and Urban Institute. February 2020 Note: Includes purchase and refinance originations. Percent Refi at Issuance Freddie Mac Fannie Mae Ginnie Mae Mortgage rate Percent refi Mortgage rate 90% 7.0%

80% 6.0% 70% 5.0% 60% 50% 4.0% 40% 3.0% 30% 2.0% 20% 10% 1.0%

0% 0.0%

Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19

Mar-04 Mar-05 Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Mar-13 Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

Sources: eMBS and Urban Institute. 9 Note: Based on at-issuance balance. Figure based on data from March 2020. OVERVIEW CASH-OUT REFINANCES When mortgage rates are low, the share of cash-out refinances tends to be relatively smaller, as refinancing allows borrowers to save money by taking advantage of lower rates. But when rates are high, the cash-out refinance share is higher since the rate reduction incentive is gone and the only reason to refinance is to take out equity. The cash-out share of all refinances grew from 45 percent in the third quarter of 2019 to 48 percent in the fourth quarter. While the cash-out refinance share for conventional mortgages may seem high at 48 percent, equity take-out volumes are substantially lower than during the bubble years. The cash-out refi share of all agency lending has fallen in the first two months of 2020, likely due to the increased rate refinance activity from borrowers taking advantage of historically low rates.

Loan Amount after Refinancing At least 5% higher loan amount No change in loan amount Lower loan amount 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0%

Sources: Freddie Mac and Urban Institute. Note: Estimates include conventional mortgages only. Equity Take-Out from Conventional Cash-out Refi Share of All Originations Mortgage Refinance Activity FHA VA Freddie Mac Fannie Mae $ billions $90.0 30% $80.0

25% $70.0

$60.0 20% $50.0

15% $40.0

$30.0 10% $20.0

5% $10.0

$0.0 0% 1995 1998 2001 2004 2007 2010 2013 2016 2019 Feb-14 Feb-15 Feb-16 Feb-17 Feb-18 Feb-19 Feb-20 Sources: Freddie Mac and Urban Institute. Q4 2019 Sources: eMBS and Urban Institute. Note: These quarterly estimates include conventional 10 Note: Data as of February 2020. mortgages only. OVERVIEW AGENCY NONBANK ORIGINATION SHARE The nonbank share for agency originations has been rising steadily since 2013, standing at 69 percent in March 2020. The Ginnie Mae nonbank share has been consistently higher than the GSEs, falling slightly in March 2020 to 86 percent. Fannie and Freddie’s nonbank shares both grew in March 2020 to 65 and 53 percent, respectively (note that these numbers can be volatile on a month-to-month basis.) Ginnie Mae, Fannie Mae and Freddie Mac all have higher nonbank origination shares for refi activity than for purchase activity.

Nonbank Origination Share: All Loans

All Fannie Freddie Ginnie 100% 90% 86% 80% 70% 69% 60% 65% 53% 50% 40% 30% 20% 10%

0%

Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Jul-19

Jan-14 Jan-15 Jan-16 Jan-17 Jan-18 Jan-19 Jan-20

Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19

Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

May-14 May-15 May-16 May-17 May-18 May-19 Sources: eMBS and Urban Institute. Nonbank Origination Share: Nonbank Origination Share: Purchase Loans Refi Loans All Fannie Freddie Ginnie All Fannie Freddie Ginnie 100% 100% 90% 90% 85% 87% 80% 80% 70% 67% 70% 70% 60% 63% 60% 67% 50% 50% 57% 46% 40% 40% 30% 30% 20% 20% 10% 10%

0% 0%

Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19

Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19

Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

Sources: eMBS and Urban Institute. Sources: eMBS and Urban Institute. 11 OVERVIEW SECURITIZATION VOLUME AND COMPOSITION Agency/Non-Agency Share of Residential MBS Issuance The non-agency share of mortgage securitizations has increased Agency share Non-agency share gradually over the post-crisis years, from 1.83 percent in 2012 to 5.0 100% 96.03% percent in 2019. Through March of 90% 2020, the non-agency share was 3.97 percent, and we expect it to go 80% lower in the months ahead, as the 70% non-agency market has been largely dormant due to dislocations caused 60% by COVID-19. Non-agency securitization volume totaled 50% $111.52 billion in 2019,an increase 40% relative to 2018’s $100.55 billion total. But there is a change in the 30% mix. Alt-A and subprime 20% securitizations have grown, while scratch and dent securitizations 10% 3.97% have fallen since the same period last 0% year. Non-agency securitizations

continue to be tiny compared to pre-

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 crisis levels. 1996

Sources: Inside Mortgage Finance and Urban Institute. Note: Based on data from March 2020. Monthly non-agency volume is subject to revision. Non-Agency MBS Issuance Monthly Non-Agency ($ billions) Securitization ($ billions) Re-REMICs and other Scratch and dent Alt A $1,400 $18 Subprime $16 $1,200 Prime $14 $1,000 $12 4.73 $800 $10 $11.46 $53.23 $8 $600 $21.02 $6 $9.42 $400 $16.38 $4 $200 $2 $0

$-

Jun-15 Jun-16 Jun-17 Jun-18 Jun-19

Sep-15 Sep-16 Sep-17 Sep-18 Sep-19

Dec-15 Dec-16 Dec-17 Dec-18 Dec-19

Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

Sources: Inside Mortgage Finance and Urban Institute. Sources: Inside Mortgage Finance and Urban Institute. 12 CREDIT BOX HOUSING CREDIT AVAILABILITY INDEX The Urban Institute’s Housing Credit Availability Index (HCAI) assesses lenders’ tolerance for both borrower risk and product risk, calculating the share of owner-occupied purchase loans that are likely to go 90+ days delinquent over the life of the loan. The HCAI Index stood at 5.3 percent in Q4 2019, unchanged from the previous quarter. There was a small drop in credit availability in all three channels, and a small increase in the market share of the government channel, which is relatively higher risk than the other channels. More information about the HCAI is available here.

All Channels Percent Total default risk 18 Reasonable 16 lending 14 standards 12 Product risk 10 8 6 4 Borrower risk 2 0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Q4 2019 GSE Channel The GSE market has expanded the credit box proportionately more than the government channel in recent years, although the GSE box is still much narrower. In Q3 2018, the index reached 3 percent for the first time since 2008, and then continued to increase in the following two quarters, reaching 3.07 percent in Q1 2019. HCAI declined in Q2, Q3 and Q4 of 2019, standing at 2.70 percent in Q4 2019..

Percent Total default risk 9 8 7 6 5 Product risk 4 3 Borrower risk 2 1 0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Sources: eMBS, CoreLogic, HMDA, IMF, and Urban Institute. Q4 2019 Note: Default is defined as 90 days or more delinquent at any point. Last updated April 2020. 13 CREDIT BOX HOUSING CREDIT AVAILABILITY INDEX Government Channel The total default risk the government channel is willing to take bottomed out at 9.6 percent in Q3 2013. It has gradually increased since then, although it was down slightly at 11.46 percent in Q4 2019, from 11.6 percent in Q3 2019. Percent 25 Total default risk

20 Product risk

15

10 Borrower risk

5

0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Q4 2019 Portfolio and Private Label Securities Channels The portfolio and private-label securities (PP) channel took on more product risk than the government and GSE channels during the bubble. After the crisis, PP channel’s product and borrower risks dropped sharply. The numbers have stabilized since 2013, with product risk fluctuating below 0.6 percent and borrower risk in the 2.0- 3.0 percent range. Borrower risk decreased in the fourth quarter of 2019, and now stands at 2.59 percent, down from 2.72 percent in Q3 2019. Total risk in the portfolio and private-label securities channel stood at 2.60 percent in Q4 2019. Percent Total default risk 25

20

15 Product risk 10

5 Borrower risk

0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Q4 2019 Sources: eMBS, CoreLogic, HMDA, IMF, and Urban Institute. 14 Note: Default is defined as 90 days or more delinquent at any point. Last updated April 2020. CREDIT BOX CREDIT AVAILABILITY FOR PURCHASECREDIT AVAILABILITY LOANS FOR Access to credit remains tight, especially for lower FICO borrowers. The median FICO for current purchase loans is about 40 points higher than the pre-crisis level of around 700. The 10th percentile, which represents the lower bound of creditworthiness to qualify for a mortgage, was 647 in February 2020, which is high compared to low-600s pre-bubble. The median LTV at origination of 95 percent also remains high, reflecting the rise of FHA and VA lending. Although current median DTI of 39 percent exceeds the pre-bubble level of 36 percent, higher FICO scores serve as a strong compensating factor. Since this data is from February 2020, it does not reflect any of the subsequent credit tightening due to the effects of COVID-19. Mean 90th percentile 10th percentile Median Borrower FICO Score at Origination FICO Score 850 800 798 750 740 700 731 650 647 600 550 500 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Combined LTV at Origination LTV 110 100 100 95 90 88 80 70 71 60 50 40 30 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 DTI at Origination DTI 60

50 50 39 40 38 30 24 20

10

0 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 15 Sources: Black Knight, eMBS, HMDA, SIFMA, CoreLogic and Urban Institute. Note: Includes owner-occupied purchase loans only. DTI data prior to April 2018 is from CoreLogic; after that date, it is from Black Knight. Data as of February 2020. CREDIT BOX CREDIT AVAILABILITY BYFOR MSA FOR PURCHASE LOANS

Credit has been tight for all borrowers with less-than-stellar credit scores—especially in MSAs with high housing prices. For example, the mean origination FICO for borrowers in San Francisco-Redwood City-South San Francisco, CA is approximately 773. Across all MSAs, lower average FICO scores tend to be correlated with high average LTVs, as these MSAs rely heavily on FHA/VA financing. Origination FICO and LTV

Mean origination FICO score Mean origination LTV Origination FICO Origination LTV 780 100

770 95

760 90

750 85

740 80

730 75

720 70

710 65

700 60

Boston MA Boston

Pittsburgh PA Pittsburgh

Columbus OH Columbus

Newark NJ-PA Newark

St. Louis MO-IL St.

Philadelphia PA Philadelphia

Kansas City Kansas MO-KS

Cleveland-Elyria OH Cleveland-Elyria

Cincinnati OH-KY-IN Cincinnati

Dallas-Plano-Irving TX Dallas-Plano-Irving

San Diego-Carlsbad CA Diego-Carlsbad San

Fort Worth-Arlington TX Worth-Arlington Fort

Phoenix-Mesa-Scottsdale AZ Phoenix-Mesa-Scottsdale

Seattle-Bellevue-Everett WA Seattle-Bellevue-Everett

Detroit-Dearborn-Livonia MI Detroit-Dearborn-Livonia

Denver-Aurora-Lakewood CO Denver-Aurora-Lakewood

San Antonio-New Braunfels TX Braunfels Antonio-New San

Miami-Miami Beach-Kendall FL Beach-Kendall Miami-Miami

Orlando-Kissimmee-Sanford FL Orlando-Kissimmee-Sanford

Oakland-Hayward-Berkeley CA Oakland-Hayward-Berkeley

Baltimore-Columbia-Towson MD Baltimore-Columbia-Towson

Nassau County-Suffolk County NY County County-Suffolk Nassau

Atlanta-Sandy Springs-Roswell GA Atlanta-SandySprings-Roswell

Las Vegas-Henderson-Paradise NV Vegas-Henderson-Paradise Las

San Jose-Sunnyvale-Santa Clara CA Clara Jose-Sunnyvale-Santa San

Charlotte-Concord-Gastonia NC-SC Charlotte-Concord-Gastonia

Tampa-St. Petersburg-Clearwater FL Petersburg-Clearwater Tampa-St.

Los Angeles-Long Beach-Glendale Beach-Glendale LosCA Angeles-Long

Riverside-San Bernardino-Ontario CA Bernardino-Ontario Riverside-San

Portland-Vancouver-Hillsboro OR-WA Portland-Vancouver-Hillsboro

Chicago-Naperville-Arlington Heights IL Heights Chicago-Naperville-Arlington

Houston-The Woodlands-Sugar Land TX Land Woodlands-Sugar Houston-The

Sacramento--Roseville--Arden-Arcade CA Sacramento--Roseville--Arden-Arcade

Minneapolis-St. Paul-Bloomington MN-WI Minneapolis-St.

New York-Jersey City-White Plains NY-NJ Plains City-White York-Jersey New

Washington-Arlington-Alexandria DC-VA-MD-WV Washington-Arlington-Alexandria San Francisco-Redwood City-SouthCA Francisco San Francisco-Redwood San

Sources: Black Knight, eMBS, HMDA, SIFMA and Urban Institute. Note: Includes owner-occupied purchase loans only. Data as of February 2020. 16 CREDIT BOX AGENCY NONBANK CREDIT BOX Nonbank originators have played a key role in expanding access to credit. In the GSE space, FICO scores for banks and nonbanks have nearly converged; the differential is much larger in the Ginnie Mae space. FICO scores for banks and nonbanks in both GSE and Ginnie Mae segments increased over the course of 2019 and early 2020, due to increased refi activity; this activity is skewed toward higher FICO scores. Comparing Ginnie Mae FICO scores today versus five years ago (late 2014), FICO scores have risen significantly for the banks, while those of the non-banks were roughly constant; this reflects a sharp cut-back in FHA lending by many banks. As pointed out on page 11, banks comprise only about 14 percent of Ginnie Mae originations. Agency FICO: Bank vs. Nonbank

FICO All Median FICO Bank Median FICO Nonbank Median FICO 770 760 756 750 740 745 730 737 720 710 700 690

680

Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Jul-19

Jan-15 Jan-16 Jan-17 Jan-18 Jan-19 Jan-20

Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19

Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

May-15 May-16 May-17 May-18 May-19 Sources: eMBS and Urban Institute.

GSE FICO: Bank vs. Nonbank Ginnie Mae FICO: Bank vs. Nonbank All Median FICO All Median FICO Bank Median FICO FICO FICO Bank Median FICO Nonbank Median FICO Nonbank Median FICO 780 780 761 760 760 760 740 760 740

720 720 705 700 700 684 680 680 681

660 660

Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Jul-19

Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Jul-19

Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 17 Sources: eMBS and Urban Institute. Sources: eMBS and Urban Institute. CREDIT BOX AGENCY NONBANK CREDIT BOX The median LTVs for nonbank and bank originations are comparable, while the median DTI for nonbank loans is higher than for bank loans. From early 2017 to early 2019, there was a sustained increase in DTIs, which has partially reversed beginning in the spring of 2019. This is true for both Ginnie Mae and the GSEs, for banks and nonbanks. As interest rates increased, DTIs rose, because borrower payments were driven up relative to incomes. As rates fell during most of 2019 and thus far in 2020, DTIs fell as borrower payments declined relative to incomes.

GSE LTV: Bank vs. Nonbank Ginnie Mae LTV: Bank vs. Nonbank

LTV All Median LTV Bank Median LTV LTV All Median LTV Bank Median LTV Nonbank Median LTV Nonbank Median LTV 90 100 88 99 86 98 84 97 82 80 96 78 95 76 94 74 93 72 92 70 68 91

66 90

Jul-15 Jul-16 Jul-17 Jul-18 Jul-19

Jul-15 Jul-16 Jul-17 Jul-18 Jul-19

Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 Sources: eMBS and Urban Institute. Sources: eMBS and Urban Institute. GSE DTI: Bank vs. Nonbank Ginnie Mae DTI: Bank vs. Nonbank All Median DTI Bank Median DTI All Median DTI Bank Median DTI Nonbank Median DTI Nonbank Median DTI DTI DTI 46 44 44 42 42

40 40

38 38

36 36

34 34

32 32

30 30

Jul-15 Jul-16 Jul-17 Jul-18 Jul-19

Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Jul-19

Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20

Sources: eMBS and Urban Institute. Sources: eMBS and Urban Institute. 18 STATE OF THE MARKET MORTGAGE ORIGINATION PROJECTIONS Fannie Mae, Freddie Mac and the MBA estimate 2020 origination volume to be between $2.35 and $2.52 trillion, higher than the $1.68-$1.77 trillion in 2018 and the $2.17 to $2.37 trillion in 2019. The increase in the 2020 origination volume is due to expectations of very strong refinance activity. All three groups expect the refinance share to be 8-12 percent higher than in 2019, based on continued low rates in the wake of COVID-19. Total Originations and Refinance Shares Originations ($ billions) Refi Share (percent) Total, FNMA Total, FHLMC Total, MBA FNMA FHLMC MBA Period estimate estimate estimate estimate estimate estimate 2019 Q1 334 355 325 32 37 30 2019 Q2 540 565 501 33 36 29 2019 Q3 716 700 651 47 47 42 2019 Q4 708 755 696 55 58 55 2020 Q1 618 607 563 58 58 54 2020 Q2 700 541 798 61 60 54 2020 Q3 613 626 600 53 48 50 2020 Q4 589 578 495 51 48 32 2016 2052 2125 1891 49 47 49 2017 1826 1810 1760 36 37 35 2018 1766 1700 1677 30 32 28 2019 2298 2375 2173 44 46 41 2020 2520 2351 2426 56 56 49 2021 2459 2369 1899 47 44 26

Sources: Fannie Mae, Freddie Mac, Mortgage Bankers Association and Urban Institute. Note: Shaded boxes indicate forecasted figures. All figures are estimates for total single-family market. Regarding interest rates, the yearly averages for 2016, 2017, 2018 and 2019 were 3.8, 4.0, 4.6, and 3.9 percent. For 2020, the respective projections for Fannie, Freddie, and MBA are 3.3, 3.3, and 3.4 percent. Originator Profitability and Unmeasured Costs In March 2020, Originator Profitability and Unmeasured Costs (OPUC) stood at $4.05 per $100 loan, up substantially from $2.59 in January 2020. Increased profitability reflects lender capacity constraints amidst strong refi demand. Additionally, Fed’s massive purchases of agency MBS in March pushed down secondary yields, thus widening the spread to primary rates. We would expect OPUC to remain elevated for some time, potentially rise further, if refi demand remains strong and the Fed continues to buy large quantities of MBS. OPUC, formulated and calculated by the Federal Reserve Bank of New York, is a good relative measure of originator profitability. OPUC uses the sales price of a mortgage in the secondary market (less par) and adds two sources of profitability; retained servicing (both base and excess servicing, net of g-fees), and points paid by the borrower. OPUC is generally high when interest rates are low, as originators are capacity constrained due to refinance demand and have no incentive to reduce rates. Conversely, when interest rates are higher and refi activity low, competition forces originators to lower rates, driving profitability down. Dollars per $100 loan 6 5 4 4.1 3 2 1 0

Sources: Federal Reserve Bank of New York, updated monthly and available at this link: 19 http://www.ny.frb.org/research/epr/2013/1113fust.html and Urban Institute. Last updated March 2020. Note: OPUC is a is a monthly (4-week moving) average as discussed in Fuster et al. (2013). SERIOUSSTATE OF THE MARKET DELINQUENCY RA HOUSING SUPPLY Strong demand for housing in recent years, coupled with historically low new home construction has led to a low— 3.4 months—supply of for-sale homes in March 2020. This level is below the 3.9 months in March 2019. Pre-crisis it averaged 4.6 months. Fannie Mae, Freddie Mac, the MBA, and the NAHB forecast 2020 housing starts to be 1.17 to 1.28 million units, slightly behind 2019 levels. Fannie Mae, Freddie Mac, and the MBA predict total home sales of 5.10 to 5.96 million units in 2020, also below 2019 levels.

Months of Supply Months of supply 14

12

10

8

6

4 3.4

2

0

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 March 2020 Source: National Association of Realtors and Urban Institute. Data as of March 2020. Housing Starts and Homes Sales

Housing Starts, thousands Home Sales. thousands

Total, Total, Total, Total, Total, Total, Total, Total, Year FNMA FHLMC MBA NAHB FNMA FHLMC MBA NAHB estimate estimate estimate estimate estimate estimate estimate estimate* 2016 1174 1170 1177 1177 6011 6010 6001 5385 2017 1203 1200 1208 1208 6123 6120 6158 5522 2018 1250 1250 1250 1250 5957 5960 5956 5357 2019 1290 1250 1298 1300 6022 6000 6022 5437 2020 1169 1280 1197 1230 5139 5100 5956 4890 2021 1258 N/A 1380 1341 5894 6100 6545 5562

Sources: Mortgage Bankers Association, Fannie Mae, Freddie Mac, National Association of Home Builders and Urban Institute. Note: Shaded boxes indicate forecasted figures; column labels indicate source of estimate. *NAHB home sales estimate is for single-family structures only, it excludes condos and co-ops. Other figures include all single-family sales.

20 STATE OF THE MARKET HOUSING AFFORDABILITY National Mortgage Affordability Over Time Home prices remain affordable by Median housing Mortgage affordability with 20% down historic standards, despite price expenses to income Mortgage affordability with 3.5% down increases over the last 7 years, as 40% interest rates remain relatively low in an historic context. As of February 35% Average Mortgage Affordability with 3.5% 2020, with a 20 percent down 30% down (2001-2003) payment, the share of median income 25% needed for the monthly mortgage 20% Average Mortgage payment stood at 23.1 percent; with Affordability with 20% 3.5 down, it is 26.6 percent. Since 15% down (2001-2003) February 2019, the median housing 10% expenses to income ratio has been slightly lower than the 2001-2003 5% average. As shown in the bottom 0% picture, mortgage affordability varies

widely by MSA.

Feb-02 Feb-05 Feb-08 Feb-11 Feb-14 Feb-17 Feb-20

Aug-03 Aug-06 Aug-09 Aug-12 Aug-15 Aug-18

Nov-02 Nov-05 Nov-08 Nov-11 Nov-14 Nov-17

May-04 May-07 May-10 May-13 May-16 May-19

Mortgage Affordability by MSA Mortgage affordability with 20% down Mortgage affordability with 3.5% down Mortgage affordability index 100% 90% 80% 70% 60% 50% 40% 30% 20% 10%

0%

Boston;MA

Pittsburgh;PA

Columbus;OH

Newark;NJ-PA

St. Louis;St. MO-IL

Philadelphia;PA

Kansas MO-KSCity;

Cleveland-Elyria;OH

Cincinnati;OH-KY-IN

Dallas-Plano-Irving;TX

San Diego-Carlsbad; San CA

Fort Fort Worth-Arlington;TX

Detroit-Dearborn-Livonia;MI

Phoenix-Mesa-Scottsdale;AZ

Seattle-Bellevue-Everett; WA

Denver-Aurora-Lakewood;CO

San Antonio-New San Braunfels; TX

Miami-MiamiBeach-Kendall; FL

Orlando-Kissimmee-Sanford;FL

Oakland-Hayward-Berkeley; CA

Baltimore-Columbia-Towson;MD

NassauCounty-Suffolk County; NY

Atlanta-SandySprings-Roswell; GA

Las Vegas-Henderson-Paradise;NV

San Jose-Sunnyvale-Santa San Clara;CA

Charlotte-Concord-Gastonia;NC-SC

Tampa-St.Petersburg-Clearwater; FL

LosAngeles-Long Beach-Glendale;CA

Riverside-SanBernardino-Ontario; CA

Portland-Vancouver-Hillsboro;OR-WA

Chicago-Naperville-ArlingtonHeights; IL

Houston-The Woodlands-SugarLand; TX

Sacramento--Roseville--Arden-Arcade;CA

Minneapolis-St. Paul-Bloomington;MN-WI

NewYork-Jersey City-White Plains; NY-NJ

Washington-Arlington-Alexandria;DC-VA-MD-WV San Francisco-Redwood San City-South San Francisco; CA

Sources: National Association of Realtors, US Census Bureau, Current Population Survey, American Community Survey, Moody’s Analytics, Freddie Mac Primary Mortgage Market Survey, and the Urban Institute. Note: Mortgage affordability is the share of median family income devoted to the monthly principal, interest, taxes, and insurance payment required to buy the median home at the Freddie Mac prevailing rate 2018 for a 30-year fixed-rate mortgage and property 21 tax and insurance at 1.75 percent of the housing value. Data for the bottom chart as of Q2 2019. STATE OF THE MARKET HOME PRICE INDICES National Year-Over-Year HPI Growth Year-over-year home price appreciation was 3.76 percent in January 2020, same as December 2019, as measured by Zillow’s hedonic index. According to Black Knight’s repeat sales index, year-over-year home price appreciation declined slightly to 4.65 percent in February 2020. Although housing affordability remains constrained, especially at the lower end of the market, recent declines in rates serve as a partial offset. These numbers do not reflect the effect of the pandemic. With purchase activity down considerably, as no one can shop for a home in the traditional way, it is reasonable to assume prices would soften in the months ahead. Year-over-year growth 15% Black Knight HPI 10%

5% 4.65 Zillow HVI 3.76 0%

-5%

-10%

-15%

Sources: Black Knight, Zillow, and Urban Institute. Note: Data as of January 2020 for Zillow and February 2020 for Black Knight. Changes in Black Knight HPI for Top MSAs After rising 55.4 percent from the trough, national house prices are now 15.9 percent higher than pre-crisis peak levels. At the MSA level, ten of the top 15 MSAs have exceeded their pre-crisis peak HPI: New York, NY; Los Angeles, CA; Atlanta, GA; Houston, TX; Dallas, TX; Minneapolis, MN; Seattle, WA; Denver, CO, San Diego, CA, and Anaheim, CA. Two MSAs particularly hard hit by the boom and bust—Chicago, IL and Riverside, CA—are 11.3 and 7.1 percent, respectively, below peak values.

HPI changes (%) MSA Peak to Trough to % above peak 2000 to peak trough current United States 75.3 -25.4 55.4 15.9 New York-Jersey City-White Plains, NY-NJ 127.9 -22.5 45.3 12.6 Los Angeles-Long Beach-Glendale, CA 179.6 -38.1 90.3 17.7 Chicago-Naperville-Arlington Heights, IL 67.1 -38.4 44.0 -11.3 Atlanta-Sandy Springs-Roswell, GA 32.4 -35.3 81.0 17.1 Washington-Arlington-Alexandria, DC-VA-MD-WV 148.9 -28.3 38.9 -0.5 Houston-The Woodlands-Sugar Land, TX 29.3 -6.6 48.3 38.6 Phoenix-Mesa-Scottsdale, AZ 113.1 -51.1 101.6 -1.5 Riverside-San Bernardino-Ontario, CA 175.0 -51.6 92.1 -7.1 Dallas-Plano-Irving, TX 26.4 -7.2 68.3 56.2 Minneapolis-St. Paul-Bloomington, MN-WI 69.1 -30.6 60.8 11.6 Seattle-Bellevue-Everett, WA 90.5 -33.1 108.9 39.7 Denver-Aurora-Lakewood, CO 34.1 -12.1 92.7 69.3 Baltimore-Columbia-Towson, MD 123.1 -24.4 21.1 -8.5 San Diego-Carlsbad, CA 148.3 -37.5 81.3 13.2 Anaheim-Santa Ana-Irvine, CA 163.1 -35.2 67.2 8.3

Sources: Black Knight HPI and Urban Institute. Data as of February 2020. Note: This table includes the largest 15 Metropolitan areas by mortgage count. 22 STATE OF THE MARKET FIRST-TIME HOMEBUYERS First-Time Homebuyer Share In February 2020, the FTHB share for FHA, which has always been more focused on first time homebuyers, grew slightly to 82.1 percent. The FTHB share of VA lending increased in February, to 54.9 percent. The GSE FTHB share in February was up from January to 48.4 percent. The bottom table shows that based on mortgages originated in February 2020, the average FTHB was more likely than an average repeat buyer to take out a smaller loan, have a lower credit score, and higher LTV, thus

GSEs FHA VA

90%

82.1% 80%

70%

60% 54.9% 50% 48.4% 40%

30%

20% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Sources: eMBS, Federal Housing Administration (FHA ) and Urban Institute. February 2020 Note: All series measure the first-time homebuyer share of purchase loans for principal residences. Comparison of First-Time and Repeat Homebuyers, GSE and FHA Originations

GSEs FHA GSEs and FHA

Characteristics First-time Repeat First-time Repeat First-time Repeat

Loan Amount ($) 258,893 280,248 227,145 241,204 244,826 273,740

Credit Score 745 757 673 677 714 744

LTV (%) 87 80 95 94 91 82 DTI (%) 35 36 43 44 39 38 Loan Rate (%) 3.92 3.85 3.9 3.81 3.91 3.84

Sources: eMBS and Urban Institute. Note: Based on owner-occupied purchase mortgages originated in February 2020. 23 STATE OF THE MARKET DELINQUENCIES AND LOSS MITIGATION ACTIVITY Loans in and near negative equity continued to decline in 4Q 2019; 3.5 percent now have negative equity, an additional 0.8 percent have less then 5 percent equity. Loans that are 90 days delinquent or in foreclosure have also been in a long decline, falling to 1.76 percent in the fourth quarter of 2019. New loan modifications and liquidations (bottom) have continued to decline. Since Q3, 2007, total loan modifications (HAMP and proprietary) are roughly equal to total liquidations. Hope Now reports show 8,644,182 borrowers received a modification from Q3 2007 to Q3 2019, compared with 8,871,863 liquidations in the same period.

Negative Equity Share Loans in Serious Delinquency/Foreclosure Percent of loans 90 days or more delinquent Negative equity Near or in negative equity Percent of loans in foreclosure Percent of loans 90 days or more delinquent or in foreclosure 35% 12%

30% 10%

25% 8% 20% 6% 15% 4% 10%

5% 2%

0% 0%

4Q00 4Q01 4Q02 4Q03 4Q04 4Q05 4Q06 4Q07 4Q08 4Q09 4Q10 4Q11 4Q12 4Q13 4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

4Q10 3Q11 2Q12 1Q13 4Q13 3Q14 2Q15 1Q16 4Q16 3Q17 2Q18 1Q19 4Q19

Sources: CoreLogic and Urban Institute. Sources: Mortgage Bankers Association and Note: Loans with negative equity refer to loans above 100 percent Urban Institute. Last updated February 2020. LTV. Loans near negative equity refer to loans above 95 percent LTV. Last updated March 2020. Loan Modifications and Liquidations Number of loans (thousands)

1,600 Hamp Permanent Mods 1,400 Proprietary mods completed 1,200 Total liquidations 1,000 800 600

400 Sources: Hope Now and 200 Urban Institute. Note: Liquidations include 0 both foreclosure sales and 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 short sales. Last updated Q3-Q4 Q1-Q3 March 2020. 24 GSES UNDER CONSERVATORSHIP GSE PORTFOLIO WIND-DOWN Both GSEs continue to contract their retained portfolios. Since February 2019, Fannie Mae has contracted by 18.1 percent and Freddie Mac by 7.6 percent. They are shrinking their less-liquid assets (mortgage loans and non-agency MBS) faster than they are shrinking their entire portfolio. The Fannie Mae and Freddie Mac portfolios are now both well below the $250 billion maximum portfolio size; they were required to reach this terminal level by year end 2018. Fannie met the target in 2017, Freddie met the target in February 2018. Fannie Mae Mortgage-Related Investment Portfolio Composition

FNMA MBS in portfolio Non-FNMA agency MBS Non-agency MBS Mortgage loans

Current size: $144.6 billion 2018 cap: $250 billion ($ billions) Shrinkage year-over-year: 18.1 percent 900 Shrinkage in less-liquid assets year-over- year: 20.6 percent 800 700 600 500 400 300 200 100 0 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Sources: Fannie Mae and Urban Institute. February 2020 Freddie Mac Mortgage-Related Investment Portfolio Composition

FHLMC MBS in portfolio Non-FHLMC agency MBS Non-agency MBS Mortgage loans

Current size: $202.2 billion ($ billions) 2018 cap: $250 billion 900 Shrinkage year-over-year: 7.6 percent Shrinkage in less-liquid assets year-over- 800 year: 15.3 percent 700 600 500 400 300 200 100 0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Sources: Freddie Mac and Urban Institute. February 2020 25 GSES UNDER CONSERVATORSHIP EFFECTIVE GUARANTEE FEES

Guarantee Fees Charged on New Acquisitions Fannie Mae single-family average charged g-fee on new acquisitions Fannie Mae’s average g-fees charged on new acquisitions rose from 55.9 bps in Freddie Mac single-family guarantee fees charged on new acquisitions Q3 2019 to 57.0 bps in Q4, while Basis points Freddie’s remained constant at 55.0 bps. After closing in to less than 1 bp 70 apart in Q3 for the first time in the last 60 57.0 three years, the g-fees separated to 2 55.0 bps in Q4 2019. Today’s g-fees are 50 markedly higher than g-fee levels in 2011 and 2012, and have contributed 40 to the GSEs’ earnings; the bottom table shows Fannie Mae LLPAs, which are 30 expressed as upfront charges. 20 Sources: Fannie Mae, Freddie Mae and Urban Institute. Last updated February 2020. 10

0

4Q09 2Q10 4Q10 2Q11 4Q11 2Q12 4Q12 2Q13 4Q13 2Q14 4Q14 2Q15 4Q15 2Q16 4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19

Fannie Mae Upfront Loan-Level Price Adjustments (LLPAs)

LTV (%)

Credit Score ≤60 60.01 – 70 70.01 – 75 75.01 – 80 80.01 – 85 85.01 – 90 90.01 – 95 95.01 – 97 >97

> 740 0.00 0.25 0.25 0.50 0.25 0.25 0.25 0.75 0.75 720 – 739 0.00 0.25 0.50 0.75 0.50 0.50 0.50 1.00 1.00 700 – 719 0.00 0.50 1.00 1.25 1.00 1.00 1.00 1.50 1.50 680 – 699 0.00 0.50 1.25 1.75 1.50 1.25 1.25 1.50 1.50 660 – 679 0.00 1.00 2.25 2.75 2.75 2.25 2.25 2.25 2.25 640 – 659 0.50 1.25 2.75 3.00 3.25 2.75 2.75 2.75 2.75 620 – 639 0.50 1.50 3.00 3.00 3.25 3.25 3.25 3.50 3.50 < 620 0.50 1.50 3.00 3.00 3.25 3.25 3.25 3.75 3.75 Product Feature (Cumulative) Investment Property 2.125 2.125 2.125 3.375 4.125 4.125 4.125 4.125 4.125

Sources: Fannie Mae and Urban Institute. Last updated March of 2019.

26 GSES UNDER CONSERVATORSHIP GSE RISK-SHARING TRANSACTIONS Fannie Mae and Freddie Mac have been laying off back-end credit risk through CAS and STACR deals and through reinsurance transactions. They have also done front-end transactions with originators and reinsurers, and experimented with deep mortgage insurance coverage with private mortgage insurers. FHFA’s 2020 scorecard requires the GSEs to transfer a significant amount of credit risk to private markets. This is a departure from the 2019 scorecard, which required risk transfer specifically on 90% of new acquisitions. Fannie Mae's CAS issuances since inception total $1.65 trillion; Freddie's STACR totals $1.47 trillion. Note that there has been no new issuance since the massive spread widening in March 2020. Fannie Mae – Connecticut Avenue Securities (CAS) Reference Pool Size % of Reference Pool Date Transaction Amount Issued ($m) ($ m) Covered 2013 CAS 2013 deals $26,756 $675 2.5 2014 CAS 2014 deals $227, 234 $5,849 2.6 2015 CAS 2015 deals $187,126 $5,463 2.9 2016 CAS 2016 deals $236,459 $7,392 3.1 2017 CAS 2017 deals $264,697 $8,707 3.3 2018 CAS 2018 deals $205,900 $7,314 3.6 January 2019 CAS 2019 - R01 $28,000 $960 3.4 February 2019 CAS 2019 - R02 $27,000 $1,000 3.7 April 2019 CAS 2019 - R03 $21,000 $857 4.1 June 2019 CAS 2019 - R04 $25,000 $1,000 4.0 July 2019 CAS 2019 - R05 $24,000 $993 4.1 October 2019 CAS 2019 - R06 $33,000 $1,300 3.9 October 2019 CAS 2019 - R07 $26,600 $998 3.8 November 2019 CAS 2019 - HRP1 $106,800 $963 0.9 January 2020 CAS 2020 - R01 $29,000 $1,030 3.6 February 2020 CAS 2020 - R02 $29,000 $1,134 3.9 March 2020 CAS 2020 - SBT1 $152,000 $966 0.6 Total $1,649,572 $46,601 2.8 Freddie Mac – Structured Agency Credit Risk (STACR) Reference Pool Size % of Reference Pool Date Transaction Amount Issued ($m) ($ m) Covered 2013 STACR 2013 deals $57,912 $1,130 2.0 2014 STACR 2014 deals $147,120 $4,916 3.3 2015 STACR 2015 deals $209,521 $6,658 3.2 2016 STACR 2016 deals $183,421 $5,541 2.8 2017 STACR 2017 deals $248, 821 $5,663 2.3 2018 STACR 2018 deals $216,581 $6,055 2.8 January 2019 STACR Series 2019 – DNA1 $24,600 $714 2.9 February 2019 STACR Series 2019 – HQA1 $20,760 $640 3.1 March 2019 STACR Series 2019 – DNA2 $20,500 $608 3.0 May 2019 STACR Series 2019 – HQA2 $19,500 $615 3.2 May 2019 STACR Series 2019 – FTR1 $44,590 $140 0.3 June 2019 STACR Series 2019 – HRP1 $5,782 $281 4.9 July 2019 STACR Series 2019 – DNA3 $25,533 $756 3.0 August 2019 STACR Series 2019 – FTR2 $11,511 $284 2.5 September 2019 STACR Series 2019 – HQA3 $19,609 $626 3.2 October 2019 STACR Series 2019 – DNA4 $20,550 $589 2.9 November 2019 STACR Series 2019 – HQA4 $13,399 $432 3.2 December 2019 STACR Series 2019 – FTR3 $22,508 $151 0.7 December 2019 STACR Series 2019 – FTR4 $22,263 $111 0.5 January 2020 STACR Series 2020 – DNA1 $29,641 $794 2.7 February 2020 STACR Series 2020 – HQA1 $24,268 $738 3.0 February 2020 STACR Series 2020 – DNA2 $43,596 $1,169 2.7 March 2020 STACR Series 2020 – HQA2 $35,066 $1,006 2.9 Total $1,467,052 $39,617 2.2 27 Sources: Fannie Mae, Freddie Mac and Urban Institute. Note: Classes A-H, M-1H, M-2H, and B-H are reference tranches only. These classes are not issued or sold. The risk is retained by Fannie Mae and Freddie Mac. “CE” = credit enhancement. GSES UNDER CONSERVATORSHIP GSE RISK-SHARING INDICES The figures below show the spreads on the 2015, 2016, 2017 and 2018 indices, as priced by dealers. Note the substantial spread widening in March 2020. This reflects investor expectations of higher defaults and potential credit losses owing to COVID-19. The 2015 and 2016 indices consist of the bottom mezzanine tranche in each deal, weighted by the original issuance amount; the equity tranches were not sold in these years. The 2017 and 2018 indices contain both the bottom mezzanine tranche as well as the equity tranche (the B tranche), in all deals when the latter was sold.

By Vintage 2017 and 2018 Indices 2015 Vintage Index 2016 Vintage Index 2017 B Index 2017 M Index 2017 M Index 2018 M Index 2018 B Index 2018 M Index 2000 1800

1800 1600

1600 1400 1400 1200 1200 1000 1000 800 800 600 600 400 400 200 200

0 0

Jun-17 Jun-18 Jun-19

Jun-18 Jun-19

Apr-17 Apr-18 Apr-19 Apr-20

Oct-17 Oct-18 Oct-19 Apr-18 Apr-19 Apr-20

Oct-18 Oct-19

Feb-17 Feb-18 Feb-19 Feb-20

Feb-18 Feb-19 Feb-20

Dec-17 Dec-18 Dec-19

Dec-18 Dec-19

Aug-17 Aug-18 Aug-19

Aug-18 Aug-19

Low Indices High Indices 2014/15 Low Index 2016 Low Index 2014/15 High Index 2016 High Index 2017 Low Index 2018 Low Index 2017 High Index 2018 High Index 2000 2000

1800 1800

1600 1600

1400 1400

1200 1200

1000 1000

800 800

600 600

400 400

200 200

0 0

Jun-17 Jun-18 Jun-19

Apr-17 Apr-18 Apr-19 Apr-20

Oct-17 Oct-18 Oct-19

Feb-17 Feb-18 Feb-19 Feb-20

Jun-17 Jun-18 Jun-19

Dec-17 Dec-18 Dec-19

Aug-17 Aug-18 Aug-19

Apr-17 Apr-18 Apr-19 Apr-20

Oct-17 Oct-18 Oct-19

Feb-17 Feb-18 Feb-19 Feb-20

Dec-17 Dec-18 Dec-19

Aug-17 Aug-18 Aug-19 28 Sources: Vista Data Services and Urban Institute. 28 Note: Data as of April 15, 2020. GSES UNDER CONSERVATORSHIP SERIOUS DELINQUENCY RATES

Serious delinquency rates for single-family GSE loans, FHA loans and VA loans grew slightly in Q4 2019, in line with the seasonal pattern. GSE delinquencies remain just above their 2006-2007 level, while FHA and VA delinquencies (which are higher than their GSE counterparts) are well below 2006-2007 levels. GSE multifamily delinquencies have declined post-crisis and remain very low. Serious Delinquency Rates–Single-Family Loans

Fannie Mae Freddie Mac FHA VA 10%

9%

8%

7%

6%

5%

4% 3.47% 3%

2% 1.92%

1% 0.65% 0.60% 0% 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Sources: Fannie Mae, Freddie Mac, MBA Delinquency Survey and Urban Institute. Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Not seasonally adjusted. FHA and VA delinquencies are reported on a quarterly basis, last updated February 2020. GSE delinquencies are reported monthly, last updated April 2020. Serious Delinquency Rates–Multifamily GSE Loans Fannie Mae Freddie Mac Percentage of total loans 1.0% 0.9% 0.8% 0.7% 0.6% 0.5% 0.4% 0.3% 0.2% 0.1% 0.08% 0.0% 0.07% 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 February 2019 Sources: Fannie Mae, Freddie Mac and Urban Institute. Note: Multifamily serious delinquency rate is the unpaid balance of loans 60 days or more past due, divided by the total unpaid 29 balance. AGENCY ISSUANCE AGENCY GROSS AND NET ISSUANCE Agency gross issuance was $480.1 billion through the first three months of 2020, more than double the volume through March 2019. The sharp increase is due to the refinance wave, which did not begin in earnest until Q2, 2019. Net issuance (which excludes repayments, prepayments, and refinances on outstanding mortgages) totaled $91.6 billion in the first three months of 2020, up 419.7 percent from the same period in 2019. Agency Gross Issuance Agency Net Issuance Issuance Issuance GSEs Ginnie Mae Total GSEs Ginnie Mae Total Year Year 2001 $885.1 $171.5 $1,056.6 2001 $368.40 -$9.90 $358.50

2002 $1,238.9 $169.0 $1,407.9 2002 $357.20 -$51.20 $306.10

2003 $1,874.9 $213.1 $2,088.0 2003 $334.90 -$77.60 $257.30

2004 $872.6 $119.2 $991.9 2004 $82.50 -$40.10 $42.40

2005 $894.0 $81.4 $975.3 2005 $174.20 -$42.20 $132.00

2006 $853.0 $76.7 $929.7 2006 $313.60 $0.20 $313.80

2007 $1,066.2 $94.9 $1,161.1 2007 $514.90 $30.90 $545.70

2008 $911.4 $267.6 $1,179.0 2008 $314.80 $196.40 $511.30

2009 $1,280.0 $451.3 $1,731.3 2009 $250.60 $257.40 $508.00

2010 $1,003.5 $390.7 $1,394.3 2010 -$303.20 $198.30 -$105.00

2011 $879.3 $315.3 $1,194.7 2011 -$128.40 $149.60 $21.20

2012 $1,288.8 $405.0 $1,693.8 2012 -$42.40 $119.10 $76.80

2013 $1,176.6 $393.6 $1,570.1 2013 $69.10 $87.90 $157.00

2014 $650.9 $296.3 $947.2 2014 $30.5 $61.6 $92.1

2015 $845.7 $436.3 $1,282.0 2015 $75.1 $97.3 $172.5

2016 $991.6 $508.2 $1,499.8 2016 $127.4 $125.8 $253.1

2017 $877.3 $455.6 $1,332.9 2017 $168.5 $131.3 $299.7

2018 $795.0 $400.6 $1,195.3 2018 $149.4 $112.0 $261.5

2019 $1,042.6 $508.6 $1,551.2 2019 $197.8 $95.7 $293.5

2020 YTD $319.9 $160.2 $480.1 2020 YTD $67.1 $24.5 $91.6

2020 YTD 2020 YTD 104.2% 102.6% 103.7% 167.2% 26.2% 105.7% % Change YOY % Change YOY

2020 Ann. $1,279.6 $640.9 $1,920.6 2020 Ann. $268.4 $97.9 $366.4

Sources: eMBS and Urban Institute. 30 Note: Dollar amounts are in billions. Data as of March 2020. AGENCY ISSUANCE GROSS AND NET ISSUANCEAGENCY GROSS BY MONTH ISSUANCE & FED PURCHASES Monthly Gross Issuance While FHA, VA and GSE lending have Freddie Mac Fannie Mae Ginnie Mae dominated the mortgage market since the crisis, there has been a change in the ($ billions) mix. The Ginnie Mae share of new 250 issuances has risen from a precrisis level of 10-12 percent to 32.4 percent in 200 March 2020. This share increase reflected both increases in the purchase share and in the refi share. 150

100

50

0

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Sources: eMBS, Federal Reserve Bank of New York, and Urban Institute. March 2020 Fed Absorption of Agency Gross Issuance On March 23, 2020, in response to the market dislocations caused by the coronavirus pandemic, the Fed announced they would purchase Treasuries and agency MBS in an amount necessary to support smooth functioning markets. This resulted in the largest single month of Fed purchases ever—in March 2020, the Fed purchased a total or $292.2 billion, corresponding to a Fed absorption of gross issuance of 178.2 percent. Prior to this, the Fed was winding down its MBS portfolio. From Oct 2014 to Sep 2017, the Fed ended its Great Recession era MBS purchase program, but was reinvesting funds from mortgages and agency debt into the mortgage market, absorbing 20-30 percent of agency gross issuance. The portfolio wind down started in October 2017, with the Fed allowing a pre-established amount of MBS to run off each month. From Oct 2017 to Sep 2018, the Fed was still reinvesting, but by less than the prepayments and repayments. In Oct 2018, the amount of MBS permitted to run off each month hit the $20 billion cap, leading to very small purchase volume between Q4 2018 and February 2020.

($ billions) Gross issuance Total Fed purchases 350 292.2 300 250 200 150 100 50 0

Mar. 2020 Sources: eMBS, Federal Reserve Bank of New York and Urban Institute. 31 AGENCY ISSUANCE MORTGAGE INSURANCE ACTIVITY MI Activity Mortgage insurance activity via the FHA, VA and private insurers increased from $151 billion in Q4 2018 to $260 billion in Q4 2019, a 71.8 percent increase. In the fourth quarter of 2019, private mortgage insurance written decreased by $8.18 billion, FHA increased by $8.00 billion and VA increased by $10.61 billion from the previous quarter. During this period, the VA share grew from 26.1 to 29.1 percent and the FHA share also grew, from 26.6 to 28.6 percent. The private mortgage insurers share fell significantly, from 47.3 to 42.3 percent compared to the previous quarter.

($ billions) Total private primary MI FHA VA Total 300 $260 250 200 150 $110 100 $76 50 $75

0

1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19 4Q16 Sources: Inside Mortgage Finance and Urban Institute. Last updated February 2020. MI Market Share Total private primary MI FHA VA

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0% 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Sources: Inside Mortgage Finance and Urban Institute. Last updated February 2020.

32 AGENCY ISSUANCE MORTGAGE INSURANCE ACTIVITY FHA premiums rose significantly in the years following the housing crash, with annual premiums rising from 50 to 135 basis points between 2008 to 2013 as FHA worked to shore up its finances. In January 2015, President Obama announced a 50 bps cut in annual insurance premiums, making FHA mortgages more attractive than GSE mortgages for the overwhelming majority of borrowers putting down less than 5%. The April 2016 reduction in PMI rates for borrowers with higher FICO scores and April 2018 reduction for lower FICO borrowers has partially offset that. As shown in the bottom table, a borrower putting 3.5 percent down with a FICO of less than 720 will find FHA financing to be more financially attractive, borrowers with FICOs of 720 and above will find GSE execution with PMI to be more attractive. FHA MI Premiums for Typical Purchase Loan Upfront mortgage insurance premium Annual mortgage insurance Case number date (UFMIP) paid premium (MIP) 1/1/2001 - 7/13/2008 150 50 7/14/2008 - 4/5/2010* 175 55 4/5/2010 - 10/3/2010 225 55 10/4/2010 - 4/17/2011 100 90 4/18/2011 - 4/8/2012 100 115 4/9/2012 - 6/10/2012 175 125 6/11/2012 - 3/31/2013a 175 125 4/1/2013 – 1/25/2015b 175 135 Beginning 1/26/2015c 175 85 Sources: Ginnie Mae and Urban Institute. Note: A typical purchase loan has an LTV over 95 and a loan term longer than 15 years. Mortgage insurance premiums are listed in basis points. * For a short period in 2008 the FHA used a risk based FICO/LTV matrix for MI. a Applies to purchase loans less than or equal to $625,500. Those over that amount have an annual premium of 150 bps. b Applies to purchase loans less than or equal to $625,500. Those over that amount have an annual premium of 155 bps. c Applies to purchase loans less than or equal to $625,500. Those over that amount have an annual premium of 105 bps. Initial Monthly Payment Comparison: FHA vs. PMI Assumptions Property Value $250,000 Loan Amount $241,250 LTV 96.5 Base Rate Conforming 3.45 FHA 3.63

FICO 620 - 639 640 - 659 660 - 679 680 - 699 700 - 719 720 - 739 740 - 759 760 + FHA MI Premiums FHA UFMIP 1.75 1.75 1.75 1.75 1.75 1.75 1.75 1.75 FHA MIP 0.85 0.85 0.85 0.85 0.85 0.85 0.85 0.85 PMI GSE LLPA* 3.50 2.75 2.25 1.50 1.50 1.00 0.75 0.75 PMI Annual MIP 1.86 1.65 1.54 1.21 0.99 0.87 0.70 0.58 Monthly Payment FHA $1,291 $1,291 $1,291 $1,291 $1,291 $1,291 $1,291 $1,291 PMI $1,547 $1,483 $1,448 $1,361 $1,316 $1,279 $1,238 $1,213 PMI Advantage -$256 -$192 -$156 -$69 -$25 $13 $53 $78

Sources: Genworth Mortgage Insurance, Ginnie Mae, and Urban Institute. FHA rate from MBA Weekly Applications Survey. Conforming rate from Freddie Mac Primary Mortgage Market Survey. Note: Rates as of March 2020. Mortgage insurance premiums listed in percentage points. Grey shade indicates FHA monthly payment is more favorable, while blue indicates PMI is more favorable. The PMI monthly payment calculation does not include special programs like Fannie Mae’s 33 HomeReady and Freddie Mac’s Home Possible (HP), both offer more favorable rates for low- to moderate-income borrowers. LLPA= Loan Level Price Adjustment, described in detail on page 25. RELATED HFPC WORK PUBLICATIONS AND EVENTS Upcoming events: See our events page for information on upcoming events. Projects Blog Posts

The Mortgage Servicing Collaborative The Pandemic is Shrinking the Mortgage Credit Box Authors: Michael Neal, Laurie Goodman Housing Credit Availability Index (HCAI) Date: April 17, 2020

Access and Affordability COVID-19 Policy Responses Must Consider the Pandemic’s Impact on Young Renters and Renters of Color Home Mortgage Disclosure Act Projects Authors: Jung Choi, Jun Zhu, Laurie Goodman Date: April 7, 2020 Mortgage Markets COVID-19 Collaborative The CARES Act Eviction Moratorium Covers All Federally Reducing the Racial Homeownership Gap Financed Rentals—That’s One in Four US Rental Units Authors: Laurie Goodman, Karan Kaul, Michael Neal Global Markets Analysis Report Date: April 2, 2020

Publications The Price Tag for Keeping 29 Million Families in Their Homes: $162 Billion The Impact of the Coronavirus on Mortgage Refinancings Authors: Karan Kaul, Laurie Goodman Authors: Laurie Goodman, Aaron Klein Date: March 27, 2020 Date: April 15, 2020 We Must Act Quickly to Protect Millions of Vulnerable Avoiding a COVID-19 Disaster for Renters and the Renters Housing Market Authors: Jung Choi, Laurie Goodman, Jun Zhu Authors: Laurie Goodman, Dan Magder Date: March 25, 2020 Date: April 13, 2020 Is the 2020 Toolkit for Helping Homeowners in Crisis Community Reinvestment Act April 8, 2020 Comment Better Than What We Had in 2008? Letter Authors: Karan Kaul, Laurie Goodman Authors: Laurie Goodman, Ellen Seidman, Jun Zhu Date: March 20, 2020 Date: April 10, 2020 Institutional Investors Brought Higher Home Prices and A Liquidity Vehicle for Mortgage Servicing Advances Is in Lower Vacancies to the Housing Recovery Consumers' Best Interest Authors: Cait Young Authors: Karan Kaul Date: March 5, 2020 Date: April 9, 2020 However You Measure It, Parents of White College The Potential and Limits of Black-owned Banks Graduates Are about 10 Times Wealthier Than Their Black Authors: Michael Neal, John Walsh Counterparts Date: March 17, 2020 Authors: Jung Choi Date: February 28, 2020 The Termination of LIBOR: An Update on Implications for the Mortgage Market Why Do Black College Graduates Have a Lower Authors: Laurie Goodman, Ed Golding Homeownership Rate Than White People Who Dropped Date: March 4, 2020 Out of High School? Authors: Jung Choi, Laurie Goodman Housing Supply Chartbook Date: February 27, 2020 Authors: Michael Neal, Laurie Goodman, Cait Young Date: January 16, 2020 Evidence Shows Military Service Reduces the Racial Homeownership Gap Authors: Sarah Strochak, Jung Choi, Laurie Goodman Date: February 26, 2020 34 Acknowledgments Housing Finance Innovation Forum Members as of April 2020 The Housing Finance Policy Center (HFPC) was launched with generous support at the leadership Organizations level from the Citi Foundation and 400 Capital Management John D. and Catherine T. MacArthur Foundation. AGNC Investment Corp. Additional support was provided by Arch Capital Group The Ford Foundation and The Open Society Assurant Foundations. Bank of America Citizens Bank Ongoing support for HFPC is also provided by Ellington Management Group the Housing Finance Innovation Forum, a FICO group of organizations and individuals that Genworth Mortgage Insurance support high-quality independent research that Housing Policy Council informs evidence-based policy development. Ivory Homes Funds raised through the Forum provide MGIC flexible resources, allowing HFPC to anticipate Mortgage Bankers Association and respond to emerging policy issues with Mr. Cooper timely analysis. This funding supports National Association of Home Builders HFPC’s research, outreach and engagement, National Association of Realtors and general operating activities. National Foundation for Credit Counseling Ocwen The chartbook is funded by these combined Pretium Partners sources. We are grateful to them and to all Pulte Home Mortgage our funders, who make it possible for Urban Quicken Loans to advance its mission. RiskSpan Two Harbors Investment Corp. The views expressed are those of the authors Union Home Mortgage and should not be attributed to the U.S. Mortgage Insurers Urban Institute, its trustees, or its funders. VantageScore Funders do not determine research findings Wells Fargo or the insights and recommendations of Urban experts. Further information on the Individuals Urban Institute’s funding principles is available Kenneth Bacon at www.urban.org/support. Jay & Alanna McCargo Mary Miller Jim Millstein Shekar Narasimhan Faith Schwartz Mark & Ava Zandi

Data Partners Black Knight, Inc. CoreLogic Experian First American Moody’s Analytics

Copyright March 2020. The Urban Institute. All rights reserved. Permission is granted for reproduction of this file, with attribution to the Urban Institute. The Urban Institute is a nonprofit, nonpartisan policy research and educational organization that examines the social, economic, and governance problems facing the nation.

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